6 papers
OpenFinGym: A Verifiable Multi-Task Gym Environment for Evaluating Quant Agents
Kaicheng Zhang, Wen Ge, Lei Jiang +5
Although large language model agents are increasingly applied to quantitative-finance workflows, their evaluation remains fragmented across isolated tasks, while the financial rele…
MOSAIC: Modular Orchestration for Structured Agentic Intelligence and Composition
Yifan Bao, Xinyu Xi, Xinyu Liu +8
Automated data science is a structured model-selection problem. A solution must choose data transformations, feature representations, architecture, training procedure, evaluation p…
Mirror Descent for Stochastic Control Problems with Measure-valued Controls
Bekzhan Kerimkulov, David Å iÅ¡ka, Åukasz Szpruch +1
This paper studies the convergence of the mirror descent algorithm for finite horizon stochastic control problems with measure-valued control processes. The control objective invol…
A Fisher-Rao gradient flow for entropy-regularised Markov decision processes in Polish spaces
Bekzhan Kerimkulov, James-Michael Leahy, David Siska +2
We study the global convergence of a Fisher-Rao policy gradient flow for infinite-horizon entropy-regularised Markov decision processes with Polish state and action space. The flow…
Pricing and hedging of decentralised lending contracts
Lukasz Szpruch, Marc Sabaté Vidales, Tanut Treetanthiploet +1
We study the loan contracts offered by decentralised loan protocols (DLPs) through the lens of financial derivatives. DLPs, which effectively are clearinghouses, facilitate transac…
-Policy Gradient for Online Pricing
Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
Combining model-based and model-free reinforcement learning approaches, this paper proposes and analyzes an -policy gradient algorithm for the online pricing learning task. The…